{
  "title": "Yield Curve Dynamics and Spillovers in Central and Eastern European Countries",
  "publication": "IMF Working Papers, February 1, 2010",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655",
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  "summary": "This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries).",
  "sections": [
    {
      "heading": "Overview and methodology",
      "content": "- Paper title: \"Yield Curve Dynamics and Spillovers in Central and Eastern European Countries\"\n- Authors: Willy A Hoffmaister, Jorge Roldos, Anita Tuladhar\n- Date: February 1, 2010\n- Methodology: Uses the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve to analyze yield curve dynamics and spillovers in Central and Eastern European countries (CEE countries)."
    },
    {
      "heading": "Key findings",
      "content": "- The two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies.\n- Inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries—which tend to re-anchor expectations faster.\n- Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves.\n- The curves' slopes are more driven by idiosyncratic factors.\n- Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries—and transmission is stronger after 2004."
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subject: Central bank policy rate, Inflation, Real effective exchange rates, Vector autoregression, Yield curve\n- Keywords: interest rate, WP\n\n---\n\n Content in this bundle\n\n- Appendix I — wp1051\n  - Appendix I — wp1051 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Appendix I — wp1051 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655"
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    "[Markdown version](/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655/index.md)",
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    "Authors: Willy A Hoffmaister, Jorge Roldos, Anita Tuladhar",
    "Published: February 1, 2010",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451963328.001",
    "Paper title: \"Yield Curve Dynamics and Spillovers in Central and Eastern European Countries\"",
    "Authors: Willy A Hoffmaister, Jorge Roldos, Anita Tuladhar",
    "Date: February 1, 2010",
    "Methodology: Uses the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve to analyze yield curve dynamics and spillovers in Central and Eastern European countries (CEE countries).",
    "The two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies.",
    "Inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries—which tend to re-anchor expectations faster.",
    "Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves.",
    "The curves' slopes are more driven by idiosyncratic factors.",
    "Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries—and transmission is stronger after 2004.",
    "Subject: Central bank policy rate, Inflation, Real effective exchange rates, Vector autoregression, Yield curve",
    "Keywords: interest rate, WP",
    "**Appendix I — _wp1051**"
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